Semimartingale representation of the logarithm of density processes (Q1848046)
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scientific article; zbMATH DE number 1821721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semimartingale representation of the logarithm of density processes |
scientific article; zbMATH DE number 1821721 |
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Semimartingale representation of the logarithm of density processes (English)
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25 November 2002
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This paper investigates the properties of the local density process for general semimartingales when their predictable characteristics can be discontinuous, considers the semimartingales with canonical representation for the general truncation function and obtains the semimartingale decompositions for the logarithm of the local density processes.
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semimartingale
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semimartingale decomposition
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local density process
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canonical representation
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